Course Resources for Fixed Income II

Spring, 2016. Professor Lamoureux

• Check this space for course announcements.
  • Notice: We meet Tuesdays from 3:30 - 6:20 in McClelland 131.
  • This class studies two distinct aspects of Fixed Income.
    1. In the first half we continue where we left off in FIN 542. That is we study instruments and models for interest rates. In this analysis we ignore credit risk for the most part.
    2. In contrast, the second half of our course focuses on credit risk. We continue to use the financial crisis which started in 2008 as a unifying theme for understanding, measuring, and modeling credit risk.
    3. Here is our course page for Harvard Cases. You can purchase the material directly at this link.

    4. Risk Neutral Valuation is a very useful but puzzling tool. Check out this heuristic Discussion of Risk-Neutral Valuation.

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• Administrative Course Materials:
  • Course Syllabus
  • Course Schedule Spring, 2016.
  • Send e-mail to the class TA (Danjue Shang).